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Symbolic correlation integral

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dc.contributor.authorCaballero Pintado, María Victoria
dc.contributor.authorMatilla-García, M
dc.contributor.authorRuís Marín, Manuel
dc.contributor.authorMatilla García, Mariano
dc.date.accessioned2024-12-02T09:25:00Z
dc.date.available2024-12-02T09:25:00Z
dc.date.issued2017-09-26
dc.descriptionEste es el manuscrito aceptado del artículo. La versión registrada fue publicada por primera vez en Econometric Reviews, 38(5), 533-556., está disponible en línea en el sitio web del editor: https://doi.org/10.1080/07474938.2017.1365431 This is the accepted manuscript of the article. The registered version was first published in Econometric Reviews, 38(5), 533-556., and is available online at the publisher's website: https://doi.org/10.1080/07474938.2017.1365431
dc.description.abstractThis paper aims to introduce the concept of symbolic correlation integral SC that is extensively used in many scientific fields. The new correlation integral SC avoids the noisy parameter 𝜀 of the classical correlation integral, defined by Grassberger and Procaccia (Citation1983) and extensively used for constructing correlation-integral-based statistics, as in the BDS test. Once the free parameter 𝜀 disappears, it is possible to construct a nonparametric powerful test for independence that can also be used as a diagnostic tool for model selection. The symbolic correlation integral is also extended to deal with multivariate models, and a test for causality is proposed as an example of the theoretical power of the new concept. With extensive Monte Carlo simulations, the paper shows the good size and power performance of symbolic correlation-integral-based tests.en
dc.description.versionversión final
dc.identifier.citationCaballero-Pintado, M. V., Matilla-García, M., & Marín, M. R. (2019). Symbolic correlation integral. Econometric Reviews, 38(5), 533-556. DOI: https://doi.org/10.1080/07474938.2017.1365431
dc.identifier.doihttps://doi.org/10.1080/07474938.2017.1365431
dc.identifier.issnTaylor and Francis Group
dc.identifier.urihttps://hdl.handle.net/20.500.14468/24614
dc.journal.issue5
dc.journal.titleEconometric Reviews
dc.journal.volume38
dc.language.isoen
dc.page.final556
dc.page.initial533
dc.publisher0747-4938; eISSN: 1532-4168
dc.relation.centerFacultades y escuelas::Facultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía Aplicada y Estadística
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
dc.subject53 Ciencias Económicas
dc.subject.keywordsBDS statisticen
dc.subject.keywordscausality testsen
dc.subject.keywordscorrelation integralen
dc.subject.keywordsindependence testsen
dc.subject.keywordssymbolic dynamicsen
dc.titleSymbolic correlation integralen
dc.typeartículoes
dc.typejournal articleen
dspace.entity.typePublication
relation.isAuthorOfPublication7ad4a531-f3a5-451d-a646-48a1cd0ad86e
relation.isAuthorOfPublication.latestForDiscovery7ad4a531-f3a5-451d-a646-48a1cd0ad86e
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